And not eating for a week or two? Many people do that - its called 'fasting' and not especially dangerous. I fast for days at a time as I see fit.
He could have ignored them, stumbled naked into the streets of a foreign country and tried to beg for help, maybe using some form of pantomime.
Not literal locks and chains, but in the beginning, he probably didn't know what to expect, and by the end of the series, there was some strong psychological pressure keeping him there.
Leading, no doubt, to arrest, the summoning of an interpreter, and the extreme embarrassment if not prosecution of the producer or representative in SK of the show.
Seriously everyone: he must have gone through passport control in two countries to get to SK. I doubt if they let passengers through unclothed.